Tim Leung

18 papers C 2Misc 1Journal 13Unranked 2
YearRankTypeTitle / Venue / Authors
2021 C conf
Optimal Dynamic Futures Portfolios Under a Multiscale Central Tendency Ornstein-Uhlenbeck Model.
ACC
Tim Leung, Yang Zhou
2020 C conf
A Stochastic Control Approach to Futures Trading with Regime Switching.
ACC
Tim Leung, Yang Zhou
2020 J jnl
Sparse mean-reverting portfolios via penalized likelihood optimization.
Autom.
Jize Zhang, Tim Leung, Aleksandr Y. Aravkin
2020 J jnl
Special Issue on AI and FinTech: The Challenge Ahead.
IEEE Intell. Syst.
Longbing Cao, George Yuan, Tim Leung, Wei Zhang
2020 J jnl
Special Issue on AI and FinTech: The Challenge Ahead.
IEEE Intell. Syst.
Longbing Cao, George Yuan, Tim Leung, Wei Zhang
2019 — conf
A Relaxed Optimization Approach for Cardinality-Constrained Portfolios.
ECC
Jize Zhang, Tim Leung, Aleksandr Y. Aravkin
2018 — conf
Mean Reverting Portfolios via Penalized OU-Likelihood Estimation.
CDC
Jize Zhang, Tim Leung, Aleksandr Y. Aravkin
2017 J jnl
Timing options for a startup with early termination and competition risks.
Risk Decis. Anal.
Tim Leung, Zongxi Li
2016 J jnl
Impact of risk aversion and belief heterogeneity on trading of defaultable claims.
Ann. Oper. Res.
Jinbeom Kim, Tim Leung
2016 J jnl
Pricing derivatives with counterparty risk and collateralization: A fixed point approach.
Eur. J. Oper. Res.
Jinbeom Kim, Tim Leung
2015 J jnl
ESO Valuation with Job Termination Risk and Jumps in Stock Price.
SIAM J. Financial Math.
Tim Leung, Haohua Wan
2015 J jnl
Optimal Multiple Stopping with Negative Discount Rate and Random Refraction Times under Lévy Models.
SIAM J. Control. Optim.
Tim Leung, Kazutoshi Yamazaki, Hongzhong Zhang
2014 J jnl
Optimal starting-stopping and switching of a CIR process with fixed costs.
Risk Decis. Anal.
Tim Leung, Xin Li, Zheng Wang
2013 J jnl
Outperformance portfolio optimization via the equivalence of pure and randomized hypothesis testing.
Finance Stochastics
Tim Leung, Qingshuo Song, Jie Yang
2012 Misc conf
Sequential static-Dynamic Hedging for Long-term Derivatives.
ICCS
Tim Leung
2011 J jnl
Optimal Timing to Purchase Options.
SIAM J. Financial Math.
Tim Leung, Mike Ludkovski
2009 J jnl
Exponential Hedging with Optimal Stopping and Application to Employee Stock Option Valuation.
SIAM J. Control. Optim.
Tim Leung, Ronnie Sircar
2007 J jnl
The Carroll-Hung method for component reliability mapping in aircraft maintenance.
Qual. Reliab. Eng. Int.
Tim Leung, Tom Carroll, May Hung, Albert Tsang, Walter Chung